Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/90296
DC FieldValueLanguage
dc.contributorDepartment of Applied Mathematicsen_US
dc.creatorJin, Zen_US
dc.creatorLiao, Hen_US
dc.creatorYang, Yen_US
dc.creatorYu, Xen_US
dc.date.accessioned2021-06-10T06:54:55Z-
dc.date.available2021-06-10T06:54:55Z-
dc.identifier.issn0346-1238en_US
dc.identifier.urihttp://hdl.handle.net/10397/90296-
dc.language.isoenen_US
dc.publisherTaylor & Francis Scandinaviaen_US
dc.subjectCredit default contagionen_US
dc.subjectDefault-state-modulated barriersen_US
dc.subjectInsurance groupen_US
dc.subjectOptimal dividenden_US
dc.subjectRecursive system of HJBVIsen_US
dc.titleOptimal dividend strategy for an insurance group with contagious default risken_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage335en_US
dc.identifier.epage361en_US
dc.identifier.volume2021en_US
dc.identifier.issue4en_US
dc.identifier.doi10.1080/03461238.2020.1845231en_US
dcterms.abstractThis paper studies the optimal dividend for a multi-line insurance group, in which each subsidiary runs a product line and is exposed to some external credit risk. The default contagion is considered such that one default event may increase the default probabilities of all surviving subsidiaries. The total dividend problem for the insurance group is investigated and we find that the optimal dividend strategy is still of the barrier type. Furthermore, we show that the optimal barrier of each subsidiary is modulated by the default state. That is, how many and which subsidiaries have defaulted will determine the dividend threshold of each surviving subsidiary. These conclusions are based on the analysis of the associated recursive system of Hamilton–Jacobi–Bellman variational inequalities (HJBVIs). The existence of the classical solution is established and the verification theorem is proved. In the case of two subsidiaries, the value function and optimal barriers are given in analytical forms, allowing us to conclude that the optimal barrier of one subsidiary decreases if the other subsidiary defaults.en_US
dcterms.accessRightsembargoed accessen_US
dcterms.bibliographicCitationScandinavian actuarial journal, 2021, v. 2021, no. 4, p. 335-361en_US
dcterms.isPartOfScandinavian actuarial journalen_US
dcterms.issued2021-
dc.identifier.scopus2-s2.0-85096124008-
dc.identifier.eissn1651-2030en_US
dc.description.validate202106 bcvcen_US
dc.description.oaNot applicableen_US
dc.identifier.FolderNumbera0915-n01-
dc.identifier.SubFormID2130-
dc.description.fundingSourceRGCen_US
dc.description.fundingTextHong Kong Early Career Scheme No.25302116en_US
dc.description.pubStatusPublisheden_US
dc.date.embargo2022-06-14en_US
Appears in Collections:Journal/Magazine Article
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